Senator Carr said Australian officials in Kuala Lumpur were seeking the immediate release of Senator Xenophon, who was detained and held pending deportation when he entered the country on Saturday morning.

As well, Australian officials have raised Senator Xenophon's plight at the highest level of the Malaysian government.

Senator Xenophon, who was participating in an unofficial delegation of Australian MPs, said he was told he was a security threat and would be deported.

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Senator Carr said preliminary reports indicated Senator Xenophon had been held under Malaysia's national security laws.

"Our High Commissioner Miles Kupa has now made direct contact with Senator Xenophon at the airport and is seeking his release," he said in a statement.

He said Mr Kupa was also urgently pursuing an explanation from Malaysian authorities regarding the reasons for this detention.

"Australia's concerns have been raised with Malaysia's foreign minister and the minister for home affairs and the Malaysian high commissioner to Australia. Their support is requested in securing Senator Xenophon's swift release from custody," he said.

"Senator Xenophon's detention is a surprising and disappointing act from a country with which Australia routinely maintains strong diplomatic relations."

The delegation, including Senator Xenophon, Liberal Mal Washer, Nationals Senator John Williams and ALP MP Steve Georganas, have now called off their visit to Malaysia.

They were to have met opposition leader Anwar Ibrahim, as well as Malaysia's minister in charge of parliamentary affairs, Mohammed Nazri, and members of the group Bersih, the Coalition for Clean and Fair Elections.

Senator Xenophon has raised concerns about the probity of the upcoming Malaysian election.